Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.4714
Annualized Std Dev 0.5750
Annualized Sharpe (Rf=0%) -0.8197

Row

Daily Return Statistics

Close
Observations 3112.0000
NAs 1.0000
Minimum -0.2724
Quartile 1 -0.0174
Median -0.0025
Arithmetic Mean -0.0019
Geometric Mean -0.0025
Quartile 3 0.0109
Maximum 0.3382
SE Mean 0.0006
LCL Mean (0.95) -0.0031
UCL Mean (0.95) -0.0006
Variance 0.0013
Stdev 0.0362
Skewness 0.4594
Kurtosis 10.9506

Downside Risk

Close
Semi Deviation 0.0246
Gain Deviation 0.0306
Loss Deviation 0.0257
Downside Deviation (MAR=210%) 0.0300
Downside Deviation (Rf=0%) 0.0255
Downside Deviation (0%) 0.0255
Maximum Drawdown 0.9998
Historical VaR (95%) -0.0497
Historical ES (95%) -0.0834
Modified VaR (95%) -0.0486
Modified ES (95%) -0.0486
From Trough To Depth Length To Trough Recovery
2008-11-21 2021-03-17 NA -0.9998 3102 3099 NA
2008-11-13 2008-11-13 2008-11-19 -0.2035 5 1 4
2008-11-07 2008-11-07 2008-11-11 -0.0749 3 1 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA 25.2 -4.8 19.2
2009 6.1 5.2 -6.1 -2 -7.6 -1.1 -0.4 6.8 7.8 8.1 -3.5 2.8 15.4
2010 -4.6 -3.2 -2.1 5 5.5 0.8 -0.3 -9.1 -1.3 0.1 -6.4 -0.1 -15.5
2011 -4.9 5 -1.4 -0.8 6.6 -4.5 1.3 3.6 7.3 8.4 0 1.1 22.6
2012 -3.1 -2.8 -1 -1.8 7.8 -7.3 0.2 -1.6 -0.8 -3.4 0.3 -5.3 -17.8
2013 -3 -1.1 0.7 2.4 4.3 -2.4 -3.3 1 -2.3 -0.8 0.4 -1.4 -5.5
2014 2 -0.7 -2 0.1 -0.4 -2 0.9 -0.9 4.1 -3.3 2.1 2.9 2.5
2015 3.8 1 0.9 -3.2 -0.6 -2.3 0.3 9.1 -0.9 1.5 -2.9 3 9.6
2016 0.2 -7.4 -1.9 1.6 -0.4 -0.5 0.4 -0.2 -2.2 1.9 1 1 -6.7
2017 -0.1 -4.1 0.7 -0.5 -2.3 -0.4 -0.7 -0.6 -1 -0.4 0.5 1 -7.8
2018 0.3 3.9 -4.3 -0.7 -3.2 -0.3 0.4 0 -1.2 -3.1 -2 -3 -12.6
2019 -0.1 -2.1 -3.4 2.2 3.9 -2.5 2.6 0.3 3.7 -2.7 1 -0.8 1.7
2020 5.5 1.6 13.4 7.9 -1.4 -1.9 -2.4 -3 -1.7 3.4 -3.2 -1.8 16
2021 -4.7 -7.3 0.6 NA NA NA NA NA NA NA NA NA -11.2

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart